It appears Madoff was untouchable do to political patronage and connections in high places. Just because some people new or strongly suspected the truth does not mean they had any power to change things. Likely if they had insisted too strongly they would have been viciously attacked and perhaps lost their position.

The firm Rentech uncovered extremely strong evidence of the fraud (when they were apparently attempting to reverse-engineer the strategy) yet continued to be an investor for several years after discovering this.